Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0295 |
| Annualized Std Dev | 0.3961 |
| Annualized Sharpe (Rf=0%) | 0.0744 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5169.0000 |
| NAs | 1.0000 |
| Minimum | -0.2309 |
| Quartile 1 | -0.0125 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0135 |
| Maximum | 0.2558 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0006 |
| Stdev | 0.0250 |
| Skewness | -0.2050 |
| Kurtosis | 8.4445 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0180 |
| Gain Deviation | 0.0169 |
| Loss Deviation | 0.0185 |
| Downside Deviation (MAR=210%) | 0.0223 |
| Downside Deviation (Rf=0%) | 0.0178 |
| Downside Deviation (0%) | 0.0178 |
| Maximum Drawdown | 0.8275 |
| Historical VaR (95%) | -0.0378 |
| Historical ES (95%) | -0.0575 |
| Modified VaR (95%) | -0.0378 |
| Modified ES (95%) | -0.0642 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2016-01-21 | NA | -0.8275 | 3231 | 1931 | NA |
| 2000-09-08 | 2002-10-16 | 2004-11-26 | -0.7366 | 1036 | 504 | 532 |
| 2006-05-10 | 2006-06-13 | 2007-01-23 | -0.3206 | 177 | 24 | 153 |
| 2007-07-24 | 2007-08-16 | 2007-09-24 | -0.2652 | 44 | 18 | 26 |
| 2007-11-09 | 2008-01-23 | 2008-02-26 | -0.1961 | 73 | 50 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | -0.6 | 0 | 1 | 2.3 | -1.7 | 0.8 | 1.8 |
| 2001 | -4.2 | 0 | -1.4 | 0.1 | -1.6 | -1 | 1.6 | -0.2 | -2 | 1.8 | 1.6 | -0.5 | -5.9 |
| 2002 | 0.2 | 2.1 | 4.3 | 0.1 | -0.8 | -5.6 | 5.9 | -0.4 | 10.4 | -0.4 | -2.9 | -1.2 | 11.2 |
| 2003 | 3 | 1.1 | 3.6 | 0 | 0.4 | 1.7 | -4 | 0.9 | 2.8 | -1.1 | 4 | 0.9 | 13.8 |
| 2004 | -2.7 | 4 | 1.1 | -1 | -1.5 | 1.3 | 0.4 | -0.8 | 3.1 | 0.7 | 1.2 | 0.3 | 6.1 |
| 2005 | 0.1 | -2.6 | 1.8 | 1.2 | 1 | 0.3 | 2.2 | 0.4 | -0.4 | 2.3 | 3.3 | -0.3 | 9.5 |
| 2006 | -1.2 | 4.1 | 0.3 | 1.1 | 4.2 | 1.3 | -1.3 | 2.4 | -0.4 | 0.5 | -1 | 0.2 | 10.5 |
| 2007 | 1.6 | -0.9 | -0.2 | -0.1 | 3.2 | 0.8 | -1 | 4 | 5.2 | -2.8 | 1.6 | -1.3 | 10.2 |
| 2008 | 1.9 | -5.3 | 3.7 | 1.7 | 1.7 | -1.7 | -2.7 | -1.3 | -0.1 | -3.7 | -11.7 | 2.4 | -14.8 |
| 2009 | -1.2 | -1.4 | 4.1 | 3.7 | 4 | 1.2 | 0.2 | -2.3 | -2.4 | -4.5 | 3.2 | 0.1 | 4.3 |
| 2010 | 4.5 | 1.9 | 1.8 | -1.3 | -1.4 | 1.8 | 0.8 | 4.1 | 1.5 | 1.3 | 2.3 | 0.5 | 19.3 |
| 2011 | 2 | -1.5 | 2.2 | 1.1 | -2.1 | 1.1 | -0.7 | 0.6 | -3.7 | -2.9 | 1.5 | 0.8 | -1.8 |
| 2012 | 2.7 | 1.8 | -0.3 | 0.6 | -2.5 | 5.3 | 0.4 | 0.7 | 0.9 | 2 | -0.6 | 1.2 | 12.6 |
| 2013 | 0.5 | 0.1 | -0.9 | -1.2 | -2.8 | -0.2 | 0.9 | 0.1 | 1 | -1.1 | 1 | 0.7 | -2 |
| 2014 | -1 | -1.5 | 0.3 | -0.4 | -2.1 | 0.2 | 0.5 | 1.8 | -3.5 | 1.1 | -4.1 | -0.5 | -9.1 |
| 2015 | -4.7 | 1.3 | 2.8 | 0 | 0.7 | -1.6 | 0.6 | -4.6 | 0 | 0.4 | 0.3 | -0.5 | -5.5 |
| 2016 | 0.3 | 5.3 | 2.2 | 0.8 | 1.7 | 1.2 | -2.1 | 0.3 | 0.4 | -3.4 | -6 | -1 | -0.7 |
| 2017 | 0.8 | 3.3 | 0.1 | 0.8 | -0.8 | 0.9 | 0.8 | 1.5 | 1.8 | -0.7 | 0.9 | 0.3 | 10.2 |
| 2018 | 0.3 | 0 | 3.1 | -1.3 | 0.5 | 0.5 | -0.3 | 2.6 | -0.1 | 2.2 | -0.1 | 0.3 | 8 |
| 2019 | 0.1 | -1.5 | 2 | -1.7 | 0.7 | 0.4 | -0.8 | 1.7 | -1.1 | 1.1 | 0.9 | 0.5 | 2.2 |
| 2020 | -2.3 | 1.5 | -4.2 | -4.4 | 1.1 | 3.3 | -2.5 | 4.2 | 0 | -2.4 | 4.9 | -0.2 | -1.6 |
| 2021 | 2.1 | -0.2 | 2.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-07-14 18.9 SPY 151. 0.0098 0.0213 0.023 0.0485 0.0665 NA NA <NA> NA NA NA
2 2000-07-17 20 SPY 151 -0.0017 0.0213 0.0192 0.0912 0.0719 NA NA <NA> NA NA NA
3 2000-07-18 19.9 SPY 150. -0.0082 0.0109 0.0216 0.0641 0.0854 NA NA <NA> NA NA NA
4 2000-07-19 19.4 SPY 149. -0.0072 -0.00290 0.0015 0.0292 0.0788 NA NA <NA> NA NA NA
5 2000-07-20 19.9 SPY 151. 0.013 0.0056 0.0182 0.0524 0.107 NA NA <NA> NA NA NA
6 2000-07-21 20 SPY 148. -0.0195 -0.0236 -0.0011 0.0269 0.0879 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
